* Program to test equality of means of squared noise-signal ratios
* using HAC-corrected standard errors.


calendar 1947 1 4
allocate 2020:04


open data table1_reg_test_data.rat
data(format=rats) / gb_revgapsq_f32 gb_revgapvr_f32 gb_revgapsq_f09 gb_revgapvr_f09 gb_revgapsq_f13 gb_revgapvr_f13



* I. Regressions for 1966-1997 vs. 1998-2006 samples

set dum98q1 = 0.0
set dum98q1 1998:01 * = 1.0

set gb_revgapsq_ovn 1966:01 1997:04 = gb_revgapsq_f32
set gb_revgapsq_ovn 1998:01 2006:04 = gb_revgapsq_f09

set gb_revgapvr_ovn 1966:01 1997:04 = gb_revgapvr_f32
set gb_revgapvr_ovn 1998:01 2006:04 = gb_revgapvr_f09

linreg(robusterrs,lags=4,lwindow=neweywest) gb_revgapsq_ovn 1966:01 2006:04
# constant dum98q1

linreg(robusterrs,lags=4,lwindow=neweywest) gb_revgapvr_ovn 1966:01 2006:04
# constant dum98q1



* II. Regressions for 1980-1992 vs. 1994-2006 samples

set dum94q1 = 0.0
set dum94q1 1994:01 * = 1.0

linreg(robusterrs,lags=4,lwindow=neweywest) gb_revgapsq_f13 1980:01 2006:04
# constant dum94q1

linreg(robusterrs,lags=4,lwindow=neweywest) gb_revgapvr_f13 1980:01 2006:04
# constant dum94q1


